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Re: Multiple interpolation methods for YieldTermStructure

Posted by Luigi Ballabio on Apr 09, 2014; 2:42pm
URL: http://quantlib.414.s1.nabble.com/Multiple-interpolation-methods-for-YieldTermStructure-tp15064p15124.html

Hello,
    it's not easy to do. You'd have to create an interpolation class for that and the corresponding traits class.

Luigi


On Fri, Mar 14, 2014 at 1:49 PM, jlee <[hidden email]> wrote:
Hi,
Is it possible to construct a yield curve with multiple interpolation
methods? For the general curve we use LogParabolic but in the FRAs we put
event/jump dates in which causes the forwards after these dates to be weird.
So ideally we would like to use linear interp for after the event date until
the next instrument.

Would this be possible. Or is there a way to "append" YieldTermStructures
constructed with different interpolation methods.

Thanks,
Jon



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